this about gives good explanation what we are doing, ours should be similar like
'we provide
a) Forecast based short-term TRADE rankings' ( asr own )
b) Forecast based trading strategies
- we give Strength/Rating of select group of STOCKS for short-term Trading 2-4 days
- Ratings are based on 1-10 , 1 being most BEARISH, 10 being most BULLISH with 'STOP loss' and 'Profit target' .
- will tell where we are in the Trend BEGIN, MIDDLE, END ( return as TS param 101 , 102, 103 ..
Here is example
----------------------
high_f = 34.5
low_f = 36.5
Rating = 2
whereInTrend = 102
stopLoss = 1 ( as percent of Entry ) -- should we give this as param OR stage as global param for ALL Trades ?
ProfitTarget = 3 ( percent )
---
Refernce
http://cssanalytics.wordpress.com/about/
CSS Analytics
Leave a commentGo to comments
CSS Analytics is a research firm dedicated to developing quantitative trading strategies and proprietary stock rankings. Our team brings together academics from a variety of disciplines as well as industry practioners. Currently we accept larger scale consulting projects for mutual funds, private traders or hedge funds. To obtain a project quote or for general inquiries into our services, the direct line for David Varadi is 416-485-5581. For this blog , all inquiries are welcome,
Showing posts with label Trading. Show all posts
Showing posts with label Trading. Show all posts
Tuesday, January 12, 2010
Friday, August 28, 2009
Support Resistance S / R
Alchemy JOe explains how S /R are calculated
https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=8863
Dear Future Trader,
Thanks for your inquiry. The resistance levels R1, R2 and R3 as well as the support levels S1, S2 and S3 are calculated based on a standard Floor Traders Pivots calculation that uses the
1) previous sessions high/low/close AVERAGE => (H+L+C )/3 ( notice no OPEN )
2) the previous sessions high and the
3) previous sessions low.
For daily pivots, the previous session is based on the previous days' high, low and close whereas for weekly pivots, the previous session is based on the previous weeks' high, low and close.
Please let me know if I can help you with any other questions.
------------
asr note: HIghTower Report , QuantLogic , Alchemy all of them may be using the same S /R formula as below .
- Even if they use some small variation , it does not matter becuase there may be only samll 10 to 20 cent difference for crude OIL price S1/S2 R1/R2 which does not matter much . All what matters is do you want to take trade postion at this S/R levels based on fundamental news of that day .
- Alchemy rolling pivot points ( hourly ) must also be based on this same formula except they were taken previous HOUR H/L/C
http://www.tradingalchemy.com/ViewChartsRollingFTPivots.htm
- It seems time window is param, we can change with input 60 min or 30 min etc.
https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=8854
-----------
The calculation for the new day are calculated from the High (H), low (L) and close (C) of the previous day.
Pivot point = P = (H + L + C)/3
First area of resistance = R1 = 2P - L
First area of support = S1 = 2P - H
Second area of resistance = R2 = (P -S1) + R1
Second area of support = S2 = P - (R2 - S1)
As prices continually rotate to enhance trading, prices of perceived value (support) and perceived over valuation (resistance) can be recognized by the volume of activity at different price levels. This is the basis of Market ProfileTM (MP) analysis. Distinct patterns of volume and price behaviour can be recognized using MP profiles.
MP illustrates that the majority of trading in a day is by floor traders or "locals" as they are called. These locals constantly take prices up and down to very short term levels of support and resistance, exploring the narrow limits of price/valuation tolerance. Trading for the day will persist between this narrow range unless "outside" buyers and sellers are attracted to the price changes that occur. If the narrow range of support or resistance established by the floor traders can be wrestled from them, then off floor short term traders will be attracted and enter the market, as buyers if short term resistance is overcome or as sellers if short term support is violated. These breakout points then usually reverse their function and serve as test points, i.e. previous resistance becomes support and previous support becomes resistance.
Now the active range of trading expands as the off floor traders enter the fray. If more longer established support and resistance can be successfully breached during the new short term trend that emerges, with the activity of the off floor traders, then longer term traders, position traders, with an intermediate or long term intention of their market commitment will be attracted to join the market.
https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=8863
Dear Future Trader,
Thanks for your inquiry. The resistance levels R1, R2 and R3 as well as the support levels S1, S2 and S3 are calculated based on a standard Floor Traders Pivots calculation that uses the
1) previous sessions high/low/close AVERAGE => (H+L+C )/3 ( notice no OPEN )
2) the previous sessions high and the
3) previous sessions low.
For daily pivots, the previous session is based on the previous days' high, low and close whereas for weekly pivots, the previous session is based on the previous weeks' high, low and close.
Please let me know if I can help you with any other questions.
------------
asr note: HIghTower Report , QuantLogic , Alchemy all of them may be using the same S /R formula as below .
- Even if they use some small variation , it does not matter becuase there may be only samll 10 to 20 cent difference for crude OIL price S1/S2 R1/R2 which does not matter much . All what matters is do you want to take trade postion at this S/R levels based on fundamental news of that day .
- Alchemy rolling pivot points ( hourly ) must also be based on this same formula except they were taken previous HOUR H/L/C
http://www.tradingalchemy.com/ViewChartsRollingFTPivots.htm
- It seems time window is param, we can change with input 60 min or 30 min etc.
https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=8854
-----------
The calculation for the new day are calculated from the High (H), low (L) and close (C) of the previous day.
Pivot point = P = (H + L + C)/3
First area of resistance = R1 = 2P - L
First area of support = S1 = 2P - H
Second area of resistance = R2 = (P -S1) + R1
Second area of support = S2 = P - (R2 - S1)
As prices continually rotate to enhance trading, prices of perceived value (support) and perceived over valuation (resistance) can be recognized by the volume of activity at different price levels. This is the basis of Market ProfileTM (MP) analysis. Distinct patterns of volume and price behaviour can be recognized using MP profiles.
MP illustrates that the majority of trading in a day is by floor traders or "locals" as they are called. These locals constantly take prices up and down to very short term levels of support and resistance, exploring the narrow limits of price/valuation tolerance. Trading for the day will persist between this narrow range unless "outside" buyers and sellers are attracted to the price changes that occur. If the narrow range of support or resistance established by the floor traders can be wrestled from them, then off floor short term traders will be attracted and enter the market, as buyers if short term resistance is overcome or as sellers if short term support is violated. These breakout points then usually reverse their function and serve as test points, i.e. previous resistance becomes support and previous support becomes resistance.
Now the active range of trading expands as the off floor traders enter the fray. If more longer established support and resistance can be successfully breached during the new short term trend that emerges, with the activity of the off floor traders, then longer term traders, position traders, with an intermediate or long term intention of their market commitment will be attracted to join the market.
Wednesday, August 26, 2009
VIX , OIL VIX
article dated: April 29, 2008
Ten Things Everyone Should Know About the VIX
Both measures tend to rise when the underlying value they track falls. The VIX tracks the Standard & Poor's 500, while the Oil VIX tracks the United States Oil Fund ETF (AMEX: USO).
I have had quite a few requests to present some introductory material on the VIX, so with that in mind I offer up the following in question and answer format:
Q: What is the VIX?
A: In brief, the VIX is the ticker symbol for the volatility index that the Chicago Board Options Exchange (CBOE) uses to calculate the implied volatility of options on the S&P 500 index (SPX) for the next 30 days. The formal name of the VIX is the CBOE Volatility Index.
Q: How is the VIX calculated?
A: The CBOE utilizes a wide variety of strike prices for SPX puts and calls to calculate the VIX. In order to arrive at a 30 day implied volatility value, the calculation blends options expiring on two different dates, with the result being an interpolated implied volatility number. For the record, the CBOE does not use the Black-Scholes option pricing model. Details of the VIX calculations are available from the CBOE in their VIX white paper.
Q: Why should I care about the VIX?
A: There are several reasons to pay attention to the VIX. Most investors who monitor the VIX do so because it provides important information about investor sentiment that can be helpful in evaluating potential market turning points. A smaller group of investors use VIX options and VIX futures to hedge their portfolios; other investors use those same options and futures to speculate on the future direction of the market.
Q: What is the history of the VIX?
A: The VIX was originally launched in 1993, with a slightly different calculation than the one that is currently employed. The ‘original VIX’ (which is still tracked under the ticker VXO) differs from the current VIX in two main respects: it is based on the S&P 100 (OEX) instead of the S&P 500; and it targets at the money options instead of the broad range of strikes utilized by the VIX. The current VIX was reformulated on September 22, 2003, at which time the original VIX was assigned the VXO ticker. VIX futures began trading on March 26, 2004 and VIX options followed on February 24, 2006.
Q: Why is the VIX sometimes called the “fear index”?
A: The CBOE has actively encouraged the use of the VIX as a tool for measuring investor fear in their marketing of the VIX and VIX-related products. As the CBOE puts it, “since volatility often signifies financial turmoil, [the] VIX is often referred to as the ‘investor fear gauge’”. The media has been quick to latch onto the headline value of the VIX as a fear indicator and has helped to reinforce the relationship between the VIX and investor fear.
Q: How does the VIX differ from other measures of volatility?
A: The VIX is the most widely known of a number of volatility indices. The CBOE alone recognizes nine volatility indices, the most popular of which are the VIX, the VXO, the VXN (for the NASDAQ-100 index), and the RVX (for the Russell 2000 small cap index). In addition to volatility indices for US equities, there are volatility indices for foreign equities (VDAX, VSTOXX, VSMI, VX1, MVX, VAEX, VBEL, VCAC, etc.) as well as lesser known volatility indices for other asset classes such as oil, gold and currencies.
Q: What are normal, high and low readings for the VIX?
A: This question is more complicated than it sounds, because some people focus on absolute VIX numbers and some people focus on relative VIX numbers. On an absolute basis, looking at a VIX as reformulated in 2003, but using data reverse engineered going back to 1990, the mean is a little bit over 20, the high is just below 90 and the low is just below 10. Just for fun, using the VXO (original VIX formulation), it is possible to calculate that the VXO peaked at about 172 on Black Monday, October 19, 1987.
Q: Can I trade the VIX?
A: At this time it is not possible to trade the cash or spot VIX directly. The only way to take a position on the VIX is through the use of VIX options and futures. On 1/30/09, Barclays Capital launched two new VIX ETNs that are based on VIX futures: VXX, which targets VIX futures with 1 month to maturity; and VXZ, which targets 5 months to maturity.
Q: How can the VIX be used as a hedge?
A: The VIX is appropriate as a hedging tool because it has a strong negative correlation to the SPX – and is generally about four times more volatile. For this reason, portfolio managers often find that buying of out of the money calls on the VIX to be a relatively inexpensive way to hedge long portfolio positions. Similar hedges can be constructed using VIX futures.
Q: How do investors use the VIX to time the market?
A: This is a subject for a much larger space, but in general, the VIX tends to trend in the very short-term, mean-revert over the short to intermediate term, and move in cycles over a long-term time frame. The devil, of course, is in the details.
----------------
The VIX isn’t Magical
24Jul08
------------
--------------
New Normal for the Oil VIX: High Levels of Fear
Much like its stock market counterpart, the Oil VIX is showing a high level of uncertainty among investors as efforts intensify for stronger regulation of energy trading.
Though well off its historic highs, the Chicago Board Options Exchange Oil VIX, or volatility index, is reflecting a strong probability of substantial price fluctuation at a time of loud public clamor over rising energy prices.
But while proponents of a stronger government hand in regulating fuel prices are using oil volatility as a factor to bolster their case, the surge in the Oil VIX may well be just another metric in the "new normal" of rapid market swings.
"It’s brutal, but it's today’s reality," said Darin Newsom, energy analyst for DTN in Omaha, Neb. "It wreaks havoc, but it places more emphasis on risk management. It places more emphasis on looking at the structure of these markets rather than following whichever winds are blowing on a particular day."
An Oil VIX above 50 sounds alarming, just as a stock market VIX above 30 sounded alarming at one point. Yet stocks have managed to sustain a powerful rally over the past three months even as the so-called "fear index" has stayed above what had long been considered a benchmark reading for high volatility.
Both measures tend to rise when the underlying value they track falls. The VIX tracks the Standard & Poor's 500, while the Oil VIX tracks the United States Oil Fund ETF (AMEX: USO).
Consequently, the Oil VIX, a relatively recent addition to the CBOE, has been on a general downward trend since last December, when crude prices reached their most recent low and started rebounding.
The unpredictability of oil prices are at the center of a lively debate on whether trading ought to be more tightly regulated in order to counter the much-maligned speculators, who have been blamed for a summertime pop in gasoline prices that seems to be unsupported by demand fundamentals.
"This is not what the commodity markets were designed to do," oil trader Daniel Dicker told CNBC. "They were never designed to be investment vehicles. They were designed to be price discovery mechanisms, and we’ve lost that trend now."
The powerful influence of speculators—primarily institutional investors and other deep-pocketed traders with the power to move markets—has long been blamed for moves such as oil's jump to $147 last summer, and gasoline's leap to $4 a gallon.
With the drumbeat for change accelerating and the mood in the new administration much more amenable to regulation, the Commodity Futures Trading Commission said Tuesday it is considering measures to clamp down on oil trading.
Some traders say a crackdown on speculation will curb the oil trade, add to the current selloff in prices and essentially amount to overkill tactics for a problem that isn’t as big as it seems.
"I don’t think there are effective ways for government to get involved and fix this," Dicker said.
Newsom added that the markets are actually behaving the way they should, generating harsh pullbacks when prices get too high such as during last year’s oil boom, and bouncing up when prices get too low, as in December’s plunge below $34 a barrel.
But should the market be going to such extremes?
"Our notions of high, low, weak, strong have changed," he said. "What used to be incredibly high volatility is not any more. It’s just natural for a market to continue to grow and evolve like that."
As for popular market measures, investors may have to widen their "normal" parameters to higher highs and lower lows, with the hope that a true price emerges in between.
An Oil VIX above 50, for instance, doesn't merely represent the threat of a move higher, but rather indicates that traders are concerned about unpredictable moves either way. At the same time, the Oil VIX has been a somewhat less reliable predictor considering it is barely a year old and lacks the history to establish reliable benchmarks.
"There's risk in both directions," said one oil trader at the CBOE who asked not to be named. "I think what it is measuring is there's a growing amount of bimodal thinking on this."
Yet the Oil VIX is about half its level from December, also indicating that traders believe the worst of the volatility has passed and that trading is more likely now to find a range.
"As a consumer in an economy that I know isn't recovering too well, it's very frustrating to watch the price of gas go up at the pump," said Andrew Wilkinson, senior strategist at Interactive Brokers. "Maybe now the fundamental forces will reassert their pressure and bring crude prices down to where [they] should be."
------------
Using the oil VIX to forecast energy prices
Wednesday, 13 August 2008 13:53
The VIX is a great tool for understanding investor sentiment relative to stocks. Traders were able to use the VIX to predict the most recent rally in stocks in June. If you are interested in understanding investor sentiment in other markets through a volatility index like the VIX then this article is for you. The formula used to derive the VIX's values can be applied to just about any widely traded index option and that includes oil futures options.
Oil prices have a version of the VIX called the Oil VIX (OVX) that operates the same way the stocks version does. When the oil VIX hits extremes oil prices become more prone to reversals. Unlike equities however, the oil VIX is positively correlated with oil prices because higher risk levels will increase oil prices rather than discount them. In the video, I will show you how the channel between extremes in oil market sentiment accurately predicted changes in the price trend of oil itself through 2008.
This is particularly useful now as the oil VIX is approaching another inflection point making an oil price increase more likely. This is helpful for all traders because of the intermarket affects of an increase in oil prices. Higher energy costs will be a bad thing for stocks, good for bonds, bad for the USD and great for commodity currencies. The oil VIX is one more way to manage risk and increase profit opportunities. oil
-----------
Ten Things Everyone Should Know About the VIX
Both measures tend to rise when the underlying value they track falls. The VIX tracks the Standard & Poor's 500, while the Oil VIX tracks the United States Oil Fund ETF (AMEX: USO).
I have had quite a few requests to present some introductory material on the VIX, so with that in mind I offer up the following in question and answer format:
Q: What is the VIX?
A: In brief, the VIX is the ticker symbol for the volatility index that the Chicago Board Options Exchange (CBOE) uses to calculate the implied volatility of options on the S&P 500 index (SPX) for the next 30 days. The formal name of the VIX is the CBOE Volatility Index.
Q: How is the VIX calculated?
A: The CBOE utilizes a wide variety of strike prices for SPX puts and calls to calculate the VIX. In order to arrive at a 30 day implied volatility value, the calculation blends options expiring on two different dates, with the result being an interpolated implied volatility number. For the record, the CBOE does not use the Black-Scholes option pricing model. Details of the VIX calculations are available from the CBOE in their VIX white paper.
Q: Why should I care about the VIX?
A: There are several reasons to pay attention to the VIX. Most investors who monitor the VIX do so because it provides important information about investor sentiment that can be helpful in evaluating potential market turning points. A smaller group of investors use VIX options and VIX futures to hedge their portfolios; other investors use those same options and futures to speculate on the future direction of the market.
Q: What is the history of the VIX?
A: The VIX was originally launched in 1993, with a slightly different calculation than the one that is currently employed. The ‘original VIX’ (which is still tracked under the ticker VXO) differs from the current VIX in two main respects: it is based on the S&P 100 (OEX) instead of the S&P 500; and it targets at the money options instead of the broad range of strikes utilized by the VIX. The current VIX was reformulated on September 22, 2003, at which time the original VIX was assigned the VXO ticker. VIX futures began trading on March 26, 2004 and VIX options followed on February 24, 2006.
Q: Why is the VIX sometimes called the “fear index”?
A: The CBOE has actively encouraged the use of the VIX as a tool for measuring investor fear in their marketing of the VIX and VIX-related products. As the CBOE puts it, “since volatility often signifies financial turmoil, [the] VIX is often referred to as the ‘investor fear gauge’”. The media has been quick to latch onto the headline value of the VIX as a fear indicator and has helped to reinforce the relationship between the VIX and investor fear.
Q: How does the VIX differ from other measures of volatility?
A: The VIX is the most widely known of a number of volatility indices. The CBOE alone recognizes nine volatility indices, the most popular of which are the VIX, the VXO, the VXN (for the NASDAQ-100 index), and the RVX (for the Russell 2000 small cap index). In addition to volatility indices for US equities, there are volatility indices for foreign equities (VDAX, VSTOXX, VSMI, VX1, MVX, VAEX, VBEL, VCAC, etc.) as well as lesser known volatility indices for other asset classes such as oil, gold and currencies.
Q: What are normal, high and low readings for the VIX?
A: This question is more complicated than it sounds, because some people focus on absolute VIX numbers and some people focus on relative VIX numbers. On an absolute basis, looking at a VIX as reformulated in 2003, but using data reverse engineered going back to 1990, the mean is a little bit over 20, the high is just below 90 and the low is just below 10. Just for fun, using the VXO (original VIX formulation), it is possible to calculate that the VXO peaked at about 172 on Black Monday, October 19, 1987.
Q: Can I trade the VIX?
A: At this time it is not possible to trade the cash or spot VIX directly. The only way to take a position on the VIX is through the use of VIX options and futures. On 1/30/09, Barclays Capital launched two new VIX ETNs that are based on VIX futures: VXX, which targets VIX futures with 1 month to maturity; and VXZ, which targets 5 months to maturity.
Q: How can the VIX be used as a hedge?
A: The VIX is appropriate as a hedging tool because it has a strong negative correlation to the SPX – and is generally about four times more volatile. For this reason, portfolio managers often find that buying of out of the money calls on the VIX to be a relatively inexpensive way to hedge long portfolio positions. Similar hedges can be constructed using VIX futures.
Q: How do investors use the VIX to time the market?
A: This is a subject for a much larger space, but in general, the VIX tends to trend in the very short-term, mean-revert over the short to intermediate term, and move in cycles over a long-term time frame. The devil, of course, is in the details.
----------------
The VIX isn’t Magical
24Jul08
------------
--------------
New Normal for the Oil VIX: High Levels of Fear
Much like its stock market counterpart, the Oil VIX is showing a high level of uncertainty among investors as efforts intensify for stronger regulation of energy trading.
Though well off its historic highs, the Chicago Board Options Exchange Oil VIX, or volatility index, is reflecting a strong probability of substantial price fluctuation at a time of loud public clamor over rising energy prices.
But while proponents of a stronger government hand in regulating fuel prices are using oil volatility as a factor to bolster their case, the surge in the Oil VIX may well be just another metric in the "new normal" of rapid market swings.
"It’s brutal, but it's today’s reality," said Darin Newsom, energy analyst for DTN in Omaha, Neb. "It wreaks havoc, but it places more emphasis on risk management. It places more emphasis on looking at the structure of these markets rather than following whichever winds are blowing on a particular day."
An Oil VIX above 50 sounds alarming, just as a stock market VIX above 30 sounded alarming at one point. Yet stocks have managed to sustain a powerful rally over the past three months even as the so-called "fear index" has stayed above what had long been considered a benchmark reading for high volatility.
Both measures tend to rise when the underlying value they track falls. The VIX tracks the Standard & Poor's 500, while the Oil VIX tracks the United States Oil Fund ETF (AMEX: USO).
Consequently, the Oil VIX, a relatively recent addition to the CBOE, has been on a general downward trend since last December, when crude prices reached their most recent low and started rebounding.
The unpredictability of oil prices are at the center of a lively debate on whether trading ought to be more tightly regulated in order to counter the much-maligned speculators, who have been blamed for a summertime pop in gasoline prices that seems to be unsupported by demand fundamentals.
"This is not what the commodity markets were designed to do," oil trader Daniel Dicker told CNBC. "They were never designed to be investment vehicles. They were designed to be price discovery mechanisms, and we’ve lost that trend now."
The powerful influence of speculators—primarily institutional investors and other deep-pocketed traders with the power to move markets—has long been blamed for moves such as oil's jump to $147 last summer, and gasoline's leap to $4 a gallon.
With the drumbeat for change accelerating and the mood in the new administration much more amenable to regulation, the Commodity Futures Trading Commission said Tuesday it is considering measures to clamp down on oil trading.
Some traders say a crackdown on speculation will curb the oil trade, add to the current selloff in prices and essentially amount to overkill tactics for a problem that isn’t as big as it seems.
"I don’t think there are effective ways for government to get involved and fix this," Dicker said.
Newsom added that the markets are actually behaving the way they should, generating harsh pullbacks when prices get too high such as during last year’s oil boom, and bouncing up when prices get too low, as in December’s plunge below $34 a barrel.
But should the market be going to such extremes?
"Our notions of high, low, weak, strong have changed," he said. "What used to be incredibly high volatility is not any more. It’s just natural for a market to continue to grow and evolve like that."
As for popular market measures, investors may have to widen their "normal" parameters to higher highs and lower lows, with the hope that a true price emerges in between.
An Oil VIX above 50, for instance, doesn't merely represent the threat of a move higher, but rather indicates that traders are concerned about unpredictable moves either way. At the same time, the Oil VIX has been a somewhat less reliable predictor considering it is barely a year old and lacks the history to establish reliable benchmarks.
"There's risk in both directions," said one oil trader at the CBOE who asked not to be named. "I think what it is measuring is there's a growing amount of bimodal thinking on this."
Yet the Oil VIX is about half its level from December, also indicating that traders believe the worst of the volatility has passed and that trading is more likely now to find a range.
"As a consumer in an economy that I know isn't recovering too well, it's very frustrating to watch the price of gas go up at the pump," said Andrew Wilkinson, senior strategist at Interactive Brokers. "Maybe now the fundamental forces will reassert their pressure and bring crude prices down to where [they] should be."
------------
Using the oil VIX to forecast energy prices
Wednesday, 13 August 2008 13:53
The VIX is a great tool for understanding investor sentiment relative to stocks. Traders were able to use the VIX to predict the most recent rally in stocks in June. If you are interested in understanding investor sentiment in other markets through a volatility index like the VIX then this article is for you. The formula used to derive the VIX's values can be applied to just about any widely traded index option and that includes oil futures options.
Oil prices have a version of the VIX called the Oil VIX (OVX) that operates the same way the stocks version does. When the oil VIX hits extremes oil prices become more prone to reversals. Unlike equities however, the oil VIX is positively correlated with oil prices because higher risk levels will increase oil prices rather than discount them. In the video, I will show you how the channel between extremes in oil market sentiment accurately predicted changes in the price trend of oil itself through 2008.
This is particularly useful now as the oil VIX is approaching another inflection point making an oil price increase more likely. This is helpful for all traders because of the intermarket affects of an increase in oil prices. Higher energy costs will be a bad thing for stocks, good for bonds, bad for the USD and great for commodity currencies. The oil VIX is one more way to manage risk and increase profit opportunities. oil
-----------
Sunday, August 16, 2009
Tradestation Indicators , easylanguage
----------
this action I took the 14-day ADX of the SPX (15.56) and divided it by the 14-day historical volatility (volatilitystddev in Tradestation terms), which currently stands at 0.3023. The result (about 51) is what I call trend over volatility (TOV)
asr: see if this DMI or DV/CI is useful for our OIL
asr: alchamy trendcatcher should have all these coded, we only need to back test at this stage developed ones ( like alchamy ) no new indicator search.
directional movement indicator
DMI Points The Way To Profits
http://www.investopedia.com/articles/technical/02/050602.asp
http://www.esignalcentral.com/university/esignal/addons/hamzei/hamzei.pdf
http://www.traderslog.com/static/pdfs/DV_CI_4_DL.pdf
as stated in the above URL
The premise behind the Directional Volatility Indicator is based on the widely
researched and well documented fact that: It is much easier to predict the volatility
cycles than it is to predict the price cycles for a given asset. Simply put, volatility tends
to contract and expand with reasonable cyclicality where price doesn’t.
----
asr: created with stockcharts.com , look a overlay 'price by volume' under parabolic SAR in list
1) once MA(50) crossed MA(200) for USO it never breached , the cross happened after OIL meltdown in MAY . interesting the meltdown did not happen after MA crossovers it happened it could have been big techical breach because once OIL recover starts MA(50) crossed over MA(200) on upside , crossing down below is big technical breach ( similar to 2003/2009 S&P MA crossovers )
2) most of the time price last 2 months maintained above MA(50) which is 35.0 for USO
3) for actual USO/crude futures trading we can use stockcharts.com charts live version ($30/month ) if we need to use live charts ( do not worry about not having in TS or somebody may develop easily in TS since they are simple horizantal lines )
4) see if we alchamy guy can develop above for TS
5) see if we can develop a 'trading stragegy' for TS based on this PBV price By Volume as indicator and back test it
----------
PBV price by volume
Gauging
Support And Resistance With Price By Volume (PBV )
asr: notice the charts are created with stockcharts.com where as all other investopedia charts are created with tradestation. it shows tradestation may not have this facility to draw PBV lines
1. Draw two parallel, horizontal lines that connect parallel highs and lows in a trading range after a trending move.
2. Then, use the PBV histogram to see if these parallel lines are located near key price levels.
3. Finally, note the buying or selling pressure (colors) as well as the total volume to determine in which direction a breakout is likely to occur.
Volume Oscillator Confirms Price Movements
--------
money flow indicators
https://www.tradestation.com/discussions/Topic.aspx?Topic_ID=45534
http://www.investopedia.com/articles/technical/03/072303.asp
price distribution analysis
http://www.tradestationzone.com/default.aspx?PageID=101&CatID=3
-------------
intraday data for ES S&P emini .. I have file also in gmail acct
http://www.fin-rus.com/analysis/export/_eng_/default.asp
http://kreslik.com/forums/viewtopic.php?t=92 -- all free Intraday DATA sites
--------------
free easylanguage code
use this PMSM 3 band indicator to get the CODE basis to draw OIL, S&P, EURUSD by using one instrument for each bottom color CODE
http://kreslik.com/forums/printview.php?t=380&start=60
we can develop OIL, S&P, EURUSD some thing like below " alchmy universal " to find whenever EURO ,S&P changes OIL price change is coming Soon ..
Alchemy Universal Divergence Indicator
The Alchemy Universal Divergence indicator can be used to detect divergence as follows:
Divergence between price and any specified oscillator
Divergence between 2 different price series
Divergence between 2 specified oscillators
Here are some other features of this indicator:
Divergence can be specified as regular divergence, opposite divergence or reverse divergence.
The divergence can be displayed as show me dots above/below price or it can be plotted as oscillator with its corresponding divergence dots.
Either, divergence pivot and previous pivot that the divergence is measured from can be displayed and the indicator can connect the 2 price pivots with trend lines.
-----------
easylanguage this PDF has all essential code for strategy
https://www.tradestation.com/support/books/pdf/EL_Essentials.pdf
we can get some strategies CODE from this site
http://www.tssupport.com/support/base/?action=article&id=1397 -- this has code filter for strategy
asr: this tssupport site gives good simple code , it shows the power of easy language for developing 'indicators' or 'strategies '
-- good simple strategy code
Strategy : Simple moving avarge SMA
http://www.tssupport.com/support/base/?action=article&id=1239
This is an example of trendline breakout system .
http://www.tssupport.com/support/base/?action=article&id=1325
Range Breakout Trading in Treasury Bonds
StoCastics strategy
http://www.tssupport.com/support/base/?action=article&id=1428
http://forum.tssupport.com/viewtopic.php?t=3339
http://kreslik.com/forums/viewforum.php?f=10 -- this has lots of CODE
http://www.tssupport.com/support/base/?action=article&id=1397 -- filter it
http://www.davenewberg.com/Trading/TSCode.html
http://www.davenewberg.com/Trading/TS_Code/SuriD_Codes/3-4_Bar_Strat_Filters.html -- seems complete strategy code
I suggest gathering links to EasyLanguage scripts' collections in this thread. Such places are numerous on the Internet and if we gather them all in one place it will be easier to quickly find something useful and helpful.
kreslik.com - Traders Community
http://kreslik.com/forums/viewforum.php?f=10
Traders Laboratory
http://www.traderslaboratory.com/forums/f46/
TS SUPPORT
http://www.tssupport.com/support/base/?action=search&pid=13&string=
TradeStation.com
https://www.tradestation.com/support/NavTrack/default.asp?code=213
------------------------
support/resistance S1/R1 see attached code ..
by ABC Trading Group
This must be the best Floor Trader Pivots implementation I have seen.
------------
easy language low priced code, site says you get ELD for small price , confirm ELD means source code
http://www.markplex.com/tutorials.php
-----------
Support and Resistance Pivot Points
http://www.tradingalchemy.com/ViewChartsSupportResistance.htm
- Rolling Pivots - http://www.tradingalchemy.com/ViewChartsRollingFTPivots.htm
- Trailing Stop
asr note: this simple $100 tool gives S/R for last day , 2 day , week it is very useful and also note Pivots ..
- if you combine these pivots with RSI, stochastic divergence signal (arrows )
- combine this S/R for daily/weekly with VP phigh/low is very useful to get an idea
-----------------
LIVE trade calls , Market commentary , market insight etc...
asr note: this traderinsight seems more intraday calls subscription than t3live
http://www.traderinsight.com/
LIVE trade commentary
trade commentary , this t3live site seems ok , for $50 you have daily commentary for $250 you have live trading ROOM . This Scott guy appeared on CNBC , bloomberg so he has some credit since appeared on main channels ( again remember Excell futures guy also apperaed on CBC for OIL )
https://t3live.com/index.php
asr: observations :
1) this guy has daily BLOG post that is good , and videos on T3live site shows almost video of T3Live guy on CNBC etc.. almost twice a month from 2008 JUNE to 2009 AUG so this guy seems bit authentic
2) JUNE 8 th post he called 'long rally is hard , SP dropped next week
3) JULY 10 post he called to no more short after SP reached 950 , it raised later weeks . based on those 2 he seems OK , some thing to rely ON ..
4) Here is T3live daily list for 'the Day trade' , it has SPY which is S&P , blog post url is below , 'the day trade list' Image is below that .
http://blog.t3live.com/search?updated-min=2009-01-01T00%3A00%3A00-05%3A00&updated-max=2010-01-01T00%3A00%3A00-05%3A00&max-results=50
https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjDfuX-0iSrzEWIXCWA2SluwsIWdLAI5ohYd30Pit0KyKi-2DeIsSzhRXLQteemg4QjhClUGGZXAod7-bb92PNaNvVjIjY5p5JGrpBpl-uhsTj9sEJWTMibZs3iCGdyHL2NeswAyoekauI/s1600-h/MorningGameplan6-8-09.xls
-------------------
asr: interesting at this presentation, author shows a tradeSetup with 'downward reversal' followed by ' 4 day up days' etc.. and tests on S&P 500 chart for '27 years' and gets result. it shows 90 trades over 27 years . It is intresting to Learn this SETUP for our OIL trading ...
http://www.traderinsight.com/Videos/Art/082509/082509.html
asr: notice , these professional traders use TRADEStation ( as shown in back result page) , It seems tradeStation is popular ( and easy setup and back test) for professional traders and normal.
- If you have a trade account , basicallly platform is Free and DATA feed you have to pay with any platform
- if no trade account go with multicharts else tardestation . But the Alchamy guy told all their indicators come with system ID , so they work only with either Tradestation or multicharts .
-------
A 10-Day Trading System
- asr: it seems we can test very easily this kind of setup in TradeStation/Multicharts
The 10-day lows are, by far, more useful then the 10-day highs. Since 1980, the 10-day lows have been an accurate predictor of short-term gains on the SPX index about 62% percent of the time. Simply buying the morning after a low signal and holding for exactly 5 days each time, as described above, would have yielded a gain of around 120% for the 26 year time period, and that is without reinvesting profits.
---------
Use the Right Technical Tools When You Trade
Oscillators are great tools in a range-trading environment, characterized by short-lived swings (sometimes on the order of days) and quick reversals. Which oscillators have we used with success? Stochastics, Wilder's Relative Strength Index (not the 'relative strength' indicator), and Wilder's parabolic SAR.
Tools such as moving average convergence divergence (MACD), ADX/DMI, and moving average crossovers are more apt to give good signals in a trending (momentum) environment, such as the middle of 2002 (to learn more about these momentum indicators, click here). However, these trend tools are somewhat ineffective in a range-trading environment
------------
this action I took the 14-day ADX of the SPX (15.56) and divided it by the 14-day historical volatility (volatilitystddev in Tradestation terms), which currently stands at 0.3023. The result (about 51) is what I call trend over volatility (TOV)
asr: see if this DMI or DV/CI is useful for our OIL
asr: alchamy trendcatcher should have all these coded, we only need to back test at this stage developed ones ( like alchamy ) no new indicator search.
directional movement indicator
DMI Points The Way To Profits
http://www.investopedia.com/articles/technical/02/050602.asp
http://www.esignalcentral.com/university/esignal/addons/hamzei/hamzei.pdf
http://www.traderslog.com/static/pdfs/DV_CI_4_DL.pdf
as stated in the above URL
The premise behind the Directional Volatility Indicator is based on the widely
researched and well documented fact that: It is much easier to predict the volatility
cycles than it is to predict the price cycles for a given asset. Simply put, volatility tends
to contract and expand with reasonable cyclicality where price doesn’t.
----
asr: created with stockcharts.com , look a overlay 'price by volume' under parabolic SAR in list
1) once MA(50) crossed MA(200) for USO it never breached , the cross happened after OIL meltdown in MAY . interesting the meltdown did not happen after MA crossovers it happened it could have been big techical breach because once OIL recover starts MA(50) crossed over MA(200) on upside , crossing down below is big technical breach ( similar to 2003/2009 S&P MA crossovers )
2) most of the time price last 2 months maintained above MA(50) which is 35.0 for USO
3) for actual USO/crude futures trading we can use stockcharts.com charts live version ($30/month ) if we need to use live charts ( do not worry about not having in TS or somebody may develop easily in TS since they are simple horizantal lines )
4) see if we alchamy guy can develop above for TS
5) see if we can develop a 'trading stragegy' for TS based on this PBV price By Volume as indicator and back test it
----------
PBV price by volume
Gauging
Support And Resistance With Price By Volume (PBV )
asr: notice the charts are created with stockcharts.com where as all other investopedia charts are created with tradestation. it shows tradestation may not have this facility to draw PBV lines
1. Draw two parallel, horizontal lines that connect parallel highs and lows in a trading range after a trending move.
2. Then, use the PBV histogram to see if these parallel lines are located near key price levels.
3. Finally, note the buying or selling pressure (colors) as well as the total volume to determine in which direction a breakout is likely to occur.
Volume Oscillator Confirms Price Movements
--------
money flow indicators
https://www.tradestation.com/discussions/Topic.aspx?Topic_ID=45534
http://www.investopedia.com/articles/technical/03/072303.asp
price distribution analysis
http://www.tradestationzone.com/default.aspx?PageID=101&CatID=3
-------------
intraday data for ES S&P emini .. I have file also in gmail acct
http://www.fin-rus.com/analysis/export/_eng_/default.asp
http://kreslik.com/forums/viewtopic.php?t=92 -- all free Intraday DATA sites
--------------
free easylanguage code
use this PMSM 3 band indicator to get the CODE basis to draw OIL, S&P, EURUSD by using one instrument for each bottom color CODE
http://kreslik.com/forums/printview.php?t=380&start=60
we can develop OIL, S&P, EURUSD some thing like below " alchmy universal " to find whenever EURO ,S&P changes OIL price change is coming Soon ..
Alchemy Universal Divergence Indicator
The Alchemy Universal Divergence indicator can be used to detect divergence as follows:
Divergence between price and any specified oscillator
Divergence between 2 different price series
Divergence between 2 specified oscillators
Here are some other features of this indicator:
Divergence can be specified as regular divergence, opposite divergence or reverse divergence.
The divergence can be displayed as show me dots above/below price or it can be plotted as oscillator with its corresponding divergence dots.
Either, divergence pivot and previous pivot that the divergence is measured from can be displayed and the indicator can connect the 2 price pivots with trend lines.
-----------
easylanguage this PDF has all essential code for strategy
https://www.tradestation.com/support/books/pdf/EL_Essentials.pdf
we can get some strategies CODE from this site
http://www.tssupport.com/support/base/?action=article&id=1397 -- this has code filter for strategy
asr: this tssupport site gives good simple code , it shows the power of easy language for developing 'indicators' or 'strategies '
-- good simple strategy code
Strategy : Simple moving avarge SMA
http://www.tssupport.com/support/base/?action=article&id=1239
This is an example of trendline breakout system .
http://www.tssupport.com/support/base/?action=article&id=1325
Range Breakout Trading in Treasury Bonds
StoCastics strategy
http://www.tssupport.com/support/base/?action=article&id=1428
http://forum.tssupport.com/viewtopic.php?t=3339
http://kreslik.com/forums/viewforum.php?f=10 -- this has lots of CODE
http://www.tssupport.com/support/base/?action=article&id=1397 -- filter it
http://www.davenewberg.com/Trading/TSCode.html
http://www.davenewberg.com/Trading/TS_Code/SuriD_Codes/3-4_Bar_Strat_Filters.html -- seems complete strategy code
I suggest gathering links to EasyLanguage scripts' collections in this thread. Such places are numerous on the Internet and if we gather them all in one place it will be easier to quickly find something useful and helpful.
kreslik.com - Traders Community
http://kreslik.com/forums/viewforum.php?f=10
Traders Laboratory
http://www.traderslaboratory.com/forums/f46/
TS SUPPORT
http://www.tssupport.com/support/base/?action=search&pid=13&string=
TradeStation.com
https://www.tradestation.com/support/NavTrack/default.asp?code=213
------------------------
support/resistance S1/R1 see attached code ..
by ABC Trading Group
This must be the best Floor Trader Pivots implementation I have seen.
------------
easy language low priced code, site says you get ELD for small price , confirm ELD means source code
http://www.markplex.com/tutorials.php
-----------
Support and Resistance Pivot Points
http://www.tradingalchemy.com/ViewChartsSupportResistance.htm
- Rolling Pivots - http://www.tradingalchemy.com/ViewChartsRollingFTPivots.htm
- Trailing Stop
asr note: this simple $100 tool gives S/R for last day , 2 day , week it is very useful and also note Pivots ..
- if you combine these pivots with RSI, stochastic divergence signal (arrows )
- combine this S/R for daily/weekly with VP phigh/low is very useful to get an idea
-----------------
LIVE trade calls , Market commentary , market insight etc...
asr note: this traderinsight seems more intraday calls subscription than t3live
http://www.traderinsight.com/
LIVE trade commentary
trade commentary , this t3live site seems ok , for $50 you have daily commentary for $250 you have live trading ROOM . This Scott guy appeared on CNBC , bloomberg so he has some credit since appeared on main channels ( again remember Excell futures guy also apperaed on CBC for OIL )
https://t3live.com/index.php
asr: observations :
1) this guy has daily BLOG post that is good , and videos on T3live site shows almost video of T3Live guy on CNBC etc.. almost twice a month from 2008 JUNE to 2009 AUG so this guy seems bit authentic
2) JUNE 8 th post he called 'long rally is hard , SP dropped next week
3) JULY 10 post he called to no more short after SP reached 950 , it raised later weeks . based on those 2 he seems OK , some thing to rely ON ..
4) Here is T3live daily list for 'the Day trade' , it has SPY which is S&P , blog post url is below , 'the day trade list' Image is below that .
http://blog.t3live.com/search?updated-min=2009-01-01T00%3A00%3A00-05%3A00&updated-max=2010-01-01T00%3A00%3A00-05%3A00&max-results=50
https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjDfuX-0iSrzEWIXCWA2SluwsIWdLAI5ohYd30Pit0KyKi-2DeIsSzhRXLQteemg4QjhClUGGZXAod7-bb92PNaNvVjIjY5p5JGrpBpl-uhsTj9sEJWTMibZs3iCGdyHL2NeswAyoekauI/s1600-h/MorningGameplan6-8-09.xls
-------------------
asr: interesting at this presentation, author shows a tradeSetup with 'downward reversal' followed by ' 4 day up days' etc.. and tests on S&P 500 chart for '27 years' and gets result. it shows 90 trades over 27 years . It is intresting to Learn this SETUP for our OIL trading ...
http://www.traderinsight.com/Videos/Art/082509/082509.html
asr: notice , these professional traders use TRADEStation ( as shown in back result page) , It seems tradeStation is popular ( and easy setup and back test) for professional traders and normal.
- If you have a trade account , basicallly platform is Free and DATA feed you have to pay with any platform
- if no trade account go with multicharts else tardestation . But the Alchamy guy told all their indicators come with system ID , so they work only with either Tradestation or multicharts .
-------
A 10-Day Trading System
- asr: it seems we can test very easily this kind of setup in TradeStation/Multicharts
The 10-day lows are, by far, more useful then the 10-day highs. Since 1980, the 10-day lows have been an accurate predictor of short-term gains on the SPX index about 62% percent of the time. Simply buying the morning after a low signal and holding for exactly 5 days each time, as described above, would have yielded a gain of around 120% for the 26 year time period, and that is without reinvesting profits.
---------
Use the Right Technical Tools When You Trade
Oscillators are great tools in a range-trading environment, characterized by short-lived swings (sometimes on the order of days) and quick reversals. Which oscillators have we used with success? Stochastics, Wilder's Relative Strength Index (not the 'relative strength' indicator), and Wilder's parabolic SAR.
Tools such as moving average convergence divergence (MACD), ADX/DMI, and moving average crossovers are more apt to give good signals in a trending (momentum) environment, such as the middle of 2002 (to learn more about these momentum indicators, click here). However, these trend tools are somewhat ineffective in a range-trading environment
------------
Thursday, July 30, 2009
Trading Philosophy
Luis Molina
Commodities Index Trader, Former Options Desk Head at Merrill Lynch Commodities
AB, Theoretical Physics, Harvard University, 1988
Trading Philosophy
http://www.commoditycareers.com/article.asp?id=18
Author: Luis Molina (Former Desk Head)
Trading can be one of the most stressful endeavors that a human being can do for a living, especially in this day and age. Markets are brutal and unforgiving to the unprepared and uninitiated. How does one turn this stress into a productive means of making a living? Well when I think about trading I always picture a racecar driver sitting in his Formula One car going around a track at top speeds. That driver is fully focused on one thing and one thing alone, the track in front of him. When sitting in front of multiple screens looking at the markets across the globe, there is only one thing on my mind, the track of patterns that appear in front of my eyes and nothing else. And what makes the craziness of that track bearable is the fact that I know exactly how I am going to react to every twist and turn that presents itself in front of me. Very little or no emotion must come into play, only the plan that was set ahead of time and the discipline to execute that plan as the markets change from minute to minute. This plan is based on many years of experience of trading markets in all types of trading conditions and environments as well many years in risk management. If you want to be a successful trader, your plan must incorporate solid risk parameters and money management techniques. This is what creates order out of the chaos in front of you. Without this plan you are helpless and at the mercy of the market and the irrational human beings driving it.
Early in my trading career, I realized that something was missing from my trading and that in order to be more successful in trading; I needed to identify and then overcome that missing component. What was missing in my trading was a major component, the risk management aspect of trading. You always hear money management but to me risk management was in fact money management. Thus, after trading for almost 7 years and not really going anywhere with my trading just having average returns, I decided to leave trading and embark on a career in risk management and spent the next 5 years learning the art of risk management. Then in 2004, I was given the opportunity to get back into trading and more specifically Commodities Trading! But this time around, I was armed with a powerful understanding of risk and how to properly measure it and quantify it in any type of trading environment. Thus, instead of trading blindly and without any particular plan in mind, I developed a very disciplined and focused approach to trading. My success in trading in the past 4 years has been driven by this immense belief in managing my risk at every step of a trading position, no matter what the product. It may be a position in equities, fixed income, commodities or foreign exchange. I search for aberrations in these markets and develop a plan with specific risk parameters and then I execute my plan. I stay on track until I have reached my profit objectives with that strategy. By being this disciplined about my trading, I remove to a large extent the emotional element and I have a clear focus on my objective. Each strategy implemented should bring a certain amount of P&L or maximum drawdown until it is replaced by another strategy or multiple other strategies. I look to hit singles but wait for the right pitch to hit the homeruns. It is a matter of discipline and patience. By taking this approach I have learned to remove a great deal of the stress involved in trading and have been able to participate in some of the most violent moves ever observed in commodity markets in the past three years.
The types of opportunities that I constantly search for are characteristic of these trading strategies: (1) Relative value trades (long one product, short another product), (2) Spread trades-opportunities that arise from the monthly index rolls or producer hedging, (3) Pure directional trades-strategies based on some set of trend following or breakout indicators to establish a long-term position, (4) Arbitrage types of trades where you buy and sell similar products and lock in a particular margin over time, (5) The free options provided from flow types of transactions that can be client driven but also market driven.
asr: first one "long one/short other" when OIL dropped 5% in a day , next day "OIL long/S&P short" can produce good result with given no PANIC in equity market , it worked on 7/30/09
Once I spot a trade opportunity that may fall into one of these types of strategies I decide how much risk capital, in the form of VaR, I am willing to put at risk on that strategy. I also determine what multiple of that VaR I am willing to accept as a drawdown before the position is liquidated. I also determine what multiple of my VaR I would like to target as a profit goal to begin liquidating the position to lock gains. This approach has a tendency to produce a Sharpe Ratio greater than 3 over time, as they tend to be risk minimizing strategies with returns being maximized over time.
The above approach is a culmination of trial and error and experimentation over many years of being immersed in these markets and its an approach that in the past several years has been the main reason for the success that I have had in my trading. My thoughts are that I am now at a stage in my trading career to take this to the next step. Namely, trade on a bigger scale by incorporating other asset classes but also designing quantitative algorithms that can incorporate some of the rules that I have developed in my own trading.
-------------
http://www.linkedin.com/pub/luis-molina/12/1a9/611
asr: same guy physics, that is why Netwon pic
* Principal at Scalar Fund Management, LLc
Past
* Managging Director at Merrill Lynch Commodities Inc
Education
* Harvard University
Connections
30 connections
Public Profile
http://www.linkedin.com/pub/luis-molina/12/1a9/611
----------
http://www.finalternatives.com/node/1941
Scalar Funds Offers SMA Equities, Futures Strategies
June 21, 2007
Scott Eisner, principal of Scalar Funds Management, recently launched a program to give investors their choice of using traditional S&P 500 equities or single stock futures to create customized portfolios in their personal accounts.
Eisner’s program is offered only in managed account formats and features a market neutral long/short strategy and a pure directional strategy similar to mutual funds. “What I’ve really done is develop a pricing model, which is very formulaic and systematic, and seems to work fairly well as a predictive tool,” said Eisner.
“My favorite use of the model is currently in the equity market neutral space although it works fairly well as a directional strategy, and can be applied using traditional equity or single stock futures. The latter application seems to be getting a lot of interest for various reasons.”
While Eisner admitted that the program is not for everybody, he said investors benefit from its transparency and lack of correlation to hedge fund indices. "There's nothing behind the curtain here, it's all in the sun light every day. Hedge fund indices investors can benefit from it because it has a low to negative correlation to market neutral indices. Futures investors and brokers are also likely to be particularly interested in the use of single stock futures as it opens completely new horizons for managing client portfolios,” he said.
The minimum investment requirement for the program is $250,000. Market neutral investors are charged a fee of 1/20 while directional investors are charged a 2% management fee.
Eisner is chief financial officer of proprietary trading firm Harrison Trading Group, which is not affiliated with the Scalar Funds. In 2003, Eisner was trading principal for the Kottke Long/Short Equity Value Fund, the precursor to his current strategy.
-----------------
Commodities Index Trader, Former Options Desk Head at Merrill Lynch Commodities
AB, Theoretical Physics, Harvard University, 1988
Trading Philosophy
http://www.commoditycareers.com/article.asp?id=18
Author: Luis Molina (Former Desk Head)
Trading can be one of the most stressful endeavors that a human being can do for a living, especially in this day and age. Markets are brutal and unforgiving to the unprepared and uninitiated. How does one turn this stress into a productive means of making a living? Well when I think about trading I always picture a racecar driver sitting in his Formula One car going around a track at top speeds. That driver is fully focused on one thing and one thing alone, the track in front of him. When sitting in front of multiple screens looking at the markets across the globe, there is only one thing on my mind, the track of patterns that appear in front of my eyes and nothing else. And what makes the craziness of that track bearable is the fact that I know exactly how I am going to react to every twist and turn that presents itself in front of me. Very little or no emotion must come into play, only the plan that was set ahead of time and the discipline to execute that plan as the markets change from minute to minute. This plan is based on many years of experience of trading markets in all types of trading conditions and environments as well many years in risk management. If you want to be a successful trader, your plan must incorporate solid risk parameters and money management techniques. This is what creates order out of the chaos in front of you. Without this plan you are helpless and at the mercy of the market and the irrational human beings driving it.
Early in my trading career, I realized that something was missing from my trading and that in order to be more successful in trading; I needed to identify and then overcome that missing component. What was missing in my trading was a major component, the risk management aspect of trading. You always hear money management but to me risk management was in fact money management. Thus, after trading for almost 7 years and not really going anywhere with my trading just having average returns, I decided to leave trading and embark on a career in risk management and spent the next 5 years learning the art of risk management. Then in 2004, I was given the opportunity to get back into trading and more specifically Commodities Trading! But this time around, I was armed with a powerful understanding of risk and how to properly measure it and quantify it in any type of trading environment. Thus, instead of trading blindly and without any particular plan in mind, I developed a very disciplined and focused approach to trading. My success in trading in the past 4 years has been driven by this immense belief in managing my risk at every step of a trading position, no matter what the product. It may be a position in equities, fixed income, commodities or foreign exchange. I search for aberrations in these markets and develop a plan with specific risk parameters and then I execute my plan. I stay on track until I have reached my profit objectives with that strategy. By being this disciplined about my trading, I remove to a large extent the emotional element and I have a clear focus on my objective. Each strategy implemented should bring a certain amount of P&L or maximum drawdown until it is replaced by another strategy or multiple other strategies. I look to hit singles but wait for the right pitch to hit the homeruns. It is a matter of discipline and patience. By taking this approach I have learned to remove a great deal of the stress involved in trading and have been able to participate in some of the most violent moves ever observed in commodity markets in the past three years.
The types of opportunities that I constantly search for are characteristic of these trading strategies: (1) Relative value trades (long one product, short another product), (2) Spread trades-opportunities that arise from the monthly index rolls or producer hedging, (3) Pure directional trades-strategies based on some set of trend following or breakout indicators to establish a long-term position, (4) Arbitrage types of trades where you buy and sell similar products and lock in a particular margin over time, (5) The free options provided from flow types of transactions that can be client driven but also market driven.
asr: first one "long one/short other" when OIL dropped 5% in a day , next day "OIL long/S&P short" can produce good result with given no PANIC in equity market , it worked on 7/30/09
Once I spot a trade opportunity that may fall into one of these types of strategies I decide how much risk capital, in the form of VaR, I am willing to put at risk on that strategy. I also determine what multiple of that VaR I am willing to accept as a drawdown before the position is liquidated. I also determine what multiple of my VaR I would like to target as a profit goal to begin liquidating the position to lock gains. This approach has a tendency to produce a Sharpe Ratio greater than 3 over time, as they tend to be risk minimizing strategies with returns being maximized over time.
The above approach is a culmination of trial and error and experimentation over many years of being immersed in these markets and its an approach that in the past several years has been the main reason for the success that I have had in my trading. My thoughts are that I am now at a stage in my trading career to take this to the next step. Namely, trade on a bigger scale by incorporating other asset classes but also designing quantitative algorithms that can incorporate some of the rules that I have developed in my own trading.
-------------
http://www.linkedin.com/pub/luis-molina/12/1a9/611
asr: same guy physics, that is why Netwon pic
* Principal at Scalar Fund Management, LLc
Past
* Managging Director at Merrill Lynch Commodities Inc
Education
* Harvard University
Connections
30 connections
Public Profile
http://www.linkedin.com/pub/luis-molina/12/1a9/611
----------
http://www.finalternatives.com/node/1941
Scalar Funds Offers SMA Equities, Futures Strategies
June 21, 2007
Scott Eisner, principal of Scalar Funds Management, recently launched a program to give investors their choice of using traditional S&P 500 equities or single stock futures to create customized portfolios in their personal accounts.
Eisner’s program is offered only in managed account formats and features a market neutral long/short strategy and a pure directional strategy similar to mutual funds. “What I’ve really done is develop a pricing model, which is very formulaic and systematic, and seems to work fairly well as a predictive tool,” said Eisner.
“My favorite use of the model is currently in the equity market neutral space although it works fairly well as a directional strategy, and can be applied using traditional equity or single stock futures. The latter application seems to be getting a lot of interest for various reasons.”
While Eisner admitted that the program is not for everybody, he said investors benefit from its transparency and lack of correlation to hedge fund indices. "There's nothing behind the curtain here, it's all in the sun light every day. Hedge fund indices investors can benefit from it because it has a low to negative correlation to market neutral indices. Futures investors and brokers are also likely to be particularly interested in the use of single stock futures as it opens completely new horizons for managing client portfolios,” he said.
The minimum investment requirement for the program is $250,000. Market neutral investors are charged a fee of 1/20 while directional investors are charged a 2% management fee.
Eisner is chief financial officer of proprietary trading firm Harrison Trading Group, which is not affiliated with the Scalar Funds. In 2003, Eisner was trading principal for the Kottke Long/Short Equity Value Fund, the precursor to his current strategy.
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Tuesday, June 9, 2009
Top Reasons Why Commodity Traders Lose Money
What Is Unfair About Trading and What You Can Do About It
-- click on the presentation link to see the DRAWDOWN to RECOVER chart/Graph
asr: interesting at this presentation, author shows a tradeSetup with 'downward reversal' followed by ' 4 day up days' etc.. and tests on S&P 500 chart for '27 years' and gets result. it shows 90 trades over 27 years . It is intresting to Learn this SETUP for our OIL trading ...
http://www.traderinsight.com/Videos/Art/082509/082509.html
look at
http://www.tigersharktrading.com/articles/8140/1/The-Dave-Landry-Stock-Swing-Trading-Mini-Course/Page1.html
trading subscriptions : http://storesense2.megawebservers.com/HS2162/Categories.bok?category=Trading+Subscription
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Over Leveraged Commodity Trading
Over Leveraged Commodity Trading
Almost every small trader who ventures into commodities falls into this trap. There is huge leverage when trading commodity futures and a couple bad trades can wipeout the over leveraged trader. Fortunately, there is a simple rule you can follow to take care of this problem - do not risk your whole account on one trade. Also, do not trade a contract that is too large for your account size. For example, you shouldn’t trade three futures contracts that average a $2,000 move a day when you have a $10,000 account.
Money Management
Do not risk more than 5 percent on any one trade. Most professional money managers risk less than 2 percent on any one trade. This is tougher if you start trading commodities with only a $10,000 account. In this case you should risk no more $500 on a trade. If you want to risk no more than $500 on a trade, all you have to do is place a stop loss order $500 away from you entry. It doesn’t guarantee you won’t lose more than $500, but it is as close as you can get.
Commodity Trading Plan
I cannot stress enough how important it is to have a trading plan in place before you begin trading commodity futures. A trading plan is your guide to how you will control your trading. It should be in writing and reviewed regularly. The trading plan should include the markets you will trade, your trading strategy, money management and even a plan to stop trading for a period of time if your account equity drops to a certain level. Trading without a plan will lead to erratic an undisciplined trading, which ultimately leads to painful losses.
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Commodity Trading Strategies
This is where many unsuccessful traders go wrong. They have no specific trading strategies for entering and exiting trades. The “wing-it” approach will not work. You might get lucky once in a while, but I can almost guarantee you will lose in the end. Watching the news for trading opportunities is not a trading strategy. You should have a logical and tested fundamental or technical strategy for trading commodities. Also, decide whether you want to be a long-term trader or a short-term trader.
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Nobody Makes money from Trading Commodities
The fact is that many people do lose when trading commodities. However, the losers are usually ill prepared investors who jump into the commodity markets and lose within six month, never to return again. Others get addicted to the markets, while trying again and again to make a killing with the same strategies and just keep losing.
The good new is that commodity investing is a zero sum game, which means for every dollar lost, someone gains a dollar. Actually, you have to factor in transaction costs, so each person loses a little more than a dollar and the other party gains a little less than a dollar.
So, who makes all the money? It is normally the professional commodity traders and money managers that consistently make money year after year. Also, amateur commodity traders who make money tend to trade for a long time – maybe 30 years. In that time, this trader has probably taken money from hundreds of commodity investors along the way.
Successful amateur traders and professional traders usually trade larger amounts of money. A professional trader managing $1 million may make profits of $200,000 for the year. In reality, he took money from the equivalent of 40 losing traders who threw $5,000 into the markets. Successful traders have usually paid their dues to learn how to trade commodities properly and they follow a strict trading discipline, which most losing traders never adopt.
Monday, May 11, 2009
Odds Maker / TradeIdeas
asr: a) the author talks about tool 'Odds Maker' from 'TradeIdeas' company , since author mentions it , Odds Maker seems useful tool.
b) use of stop loss resulted in net small gains compared to 'No stops', echoing my own 'no stops' philosophy .
But what if stop losses consistently minimize the profit potential of promising trade setups?
http://www.trade-ideas.com/OddsMaker/
In the Trading Psychology Weblog the past couple of days, I've taken a look at the Odds Maker program from Trade Ideas as a way of establishing market regimes. You can think of regimes as the set of rules that the market has been playing by over the recent past. The Trade Ideas program screens the market for various patterns; Odds Maker tells you if those patterns would have been profitable if held for user-defined periods with user-defined stops.
For example, over the past three weeks, it has been consistently profitable to buy SPY after a break below the 30 minute opening range. That gave us 8 winning trades in 11 opportunities, with the average win size ($.46) exceeding the average loss (-$.04). Trading those opportunities provided the SPY trader with net winnings of $3.54 per share. That's with no stops and a holding period of 60 minutes.
b) use of stop loss resulted in net small gains compared to 'No stops', echoing my own 'no stops' philosophy .
But what if stop losses consistently minimize the profit potential of promising trade setups?
http://www.trade-ideas.com/OddsMaker/
In the Trading Psychology Weblog the past couple of days, I've taken a look at the Odds Maker program from Trade Ideas as a way of establishing market regimes. You can think of regimes as the set of rules that the market has been playing by over the recent past. The Trade Ideas program screens the market for various patterns; Odds Maker tells you if those patterns would have been profitable if held for user-defined periods with user-defined stops.
For example, over the past three weeks, it has been consistently profitable to buy SPY after a break below the 30 minute opening range. That gave us 8 winning trades in 11 opportunities, with the average win size ($.46) exceeding the average loss (-$.04). Trading those opportunities provided the SPY trader with net winnings of $3.54 per share. That's with no stops and a holding period of 60 minutes.
Wednesday, May 6, 2009
Trading Lessons
http://eotpro.typepad.com/my_weblog/2007/11/daily-lessons-8.html
My suggestion? Start slow. Trade 1 contract. Regardless if you have a $2000.00 account to start or $100,000.00 account - TRADE 1 CONTRACT to start. Earn your second contract from the market.
If you can not earn money with 1 contract... you will not make money with 2. It is as simple as that. Even if it takes you 3 months of trading going up and down before you earn your 2nd contract, once you get there the Magic of Quantified Objective will prevail and once you start adding contracts you will be well on your way.
I also highly suggest that if you earn a contract and then suffer a trading loss that you take off the contract until you earn it back. This way you are only risking Market money and your own personal capital is still yours. When you have earned 5 or 10 contracts, cash out. That's right... the market is now paying you. Start over at 1 contract and re-earn your way all over again. This will ensure that you don't go so large as to create FEAR as well you ensure that the Market is paying you. This is your ultimate goal, to draw a paycheque from the market and by cashing out once you have reached a specific goal this will ensure that you are drawing the money out of the market, limiting your risk.
Be prepared to establish Goals in your trading. I highly suggest creating Goals that are attainable. If your goals are NOT attainable it will prove your demise. If you have anything in your trading plan that takes you psychologically into failure it will be impossible to succeed. Remember:
1) YOU WILL NOT WIN EVERY TRADE:
Don't expect to because it is impossible
2) TRADING IS A NUMBERS GAME:
Your trading plan needs a higher win/lose ratio... that's all
3) TRADING IS ALL ABOUT YOU:
Your capability to follow YOUR rules will determine if you will succeed or not.
4) YOU MUST LOVE WHAT YOU ARE DOING:
It is detrimental for your overall happiness to LOVE what you are doing.
Having a Passion for Trading will ensure you follow through with all the steps to ensuring your
overall future success. If you don't enjoy it... find out what you truly love and follow your heart.
http://eotpro.typepad.com/my_weblog/
http://eotpro.typepad.com/my_weblog/2007/11/daily-lessons-l.html
LESSON 1: CHOOSE YOUR MARKET!
Before any other study can be done and before you flail around from market to market trying to trade them all... study each market and CHOOSE 1. Your chances of success are higher if you stick to one market and become intimate with how it moves during all market conditions. If you continuously change from one market to another you will not be able to create a disciplined and consistent plan as each market has its own idiosyncracies that must be learned individually. There is nothing saying you can't expand to another market once you are trading your Primary Choice successfully.
Lesson 2: CHOOSE YOUR TIMEFRAME!
This lesson will take some time to implement. In my opinion, one should take a week or two of watching their distinct market in several timeframes to assist in their end choice.
The obvious choice is longterm vs shortterm intra-day trading. For instance do you want to trade a 10minute chart? Does your personality prefer a scalping method or do you like to see your efforts payoff in the bigger picture trending days? Do you have patience or a lack of it? All of your personality traits will determine what form of trading is best suited to you as a person. IMO one's personality must play a factor in their trading style and trading plan. Trading truly is all about you and the earlier you realize this, I believe the higher your chance of success.
Now most charting software today offer more than only intra-day minute charts. There are Tick, Volume, Daily, and Weekly to name a few more. It is imperative that you know what style is best suited to you and the tools you choose in order to have the highest probability outcome.
The only way you will decide which timeframe and style of charting is best suited is by watching your chosen market, researching back in time with several timeframes, and understanding your own personality, level of patience, and maximum risk.
------
Lesson #7 - Knowing when to Review...
You have been trading your plan live for a few weeks now and doing very well thankyou.
Suddenly, one day, you wake up and you do everything wrong. In a matter of a morning you wipe out 1/2 of the profits that you have earned since turning on your trading live. Now, you are sitting there stunned- could you really have done this? What do you do now? Do you take the next trade? The indecision alone could cost you and it seems that now your mind is questioning everything and fear has set in. So... what do you do?
First:
Shut down your live account. Obviously there is a severe mental and emotional issue happening with your trading and continuing when you are in such a state it is best to shut it all down, and walk away for the day.
Second:
After you have had some time to clear your mind and calm yourself down. Go back to your charts and start the day over. Go through one tick at a time until you reach each and every trade that you took, win or lose, and ask yourself ...
1) "Did this Trade meet my criteria?" YES - Good /NO - WHY?
2) "Were the stops too big?" NO - Good /YES - WHY?
3) "Was I trading on emotion?" NOW - Good /YES - WHY?
4) "Did I overtrade?" NO - Good /YES - WHY?
5) "Was there outside influence against my trade?" (Sudden News, etc...)
If you Answered incorrectly on just one of these questions then you have to ask yourself WHY?
With exception to number 5 because sometimes there will be a news event that you just aren't aware of or prepared for and it is anyone's guess how the market will react... chalk this scenario up to the cost of doing business in trading.
Until you know the answers to what you may have done incorrectly... I would not trade live.
Re-open your simulator account and get back to re-establishing your discipline and the consistent execution of your trading plan. Even if you take a week to get back to your disciplined execution take that time. This will re-build the confidence that you need for long term success.
My suggestion? Start slow. Trade 1 contract. Regardless if you have a $2000.00 account to start or $100,000.00 account - TRADE 1 CONTRACT to start. Earn your second contract from the market.
If you can not earn money with 1 contract... you will not make money with 2. It is as simple as that. Even if it takes you 3 months of trading going up and down before you earn your 2nd contract, once you get there the Magic of Quantified Objective will prevail and once you start adding contracts you will be well on your way.
I also highly suggest that if you earn a contract and then suffer a trading loss that you take off the contract until you earn it back. This way you are only risking Market money and your own personal capital is still yours. When you have earned 5 or 10 contracts, cash out. That's right... the market is now paying you. Start over at 1 contract and re-earn your way all over again. This will ensure that you don't go so large as to create FEAR as well you ensure that the Market is paying you. This is your ultimate goal, to draw a paycheque from the market and by cashing out once you have reached a specific goal this will ensure that you are drawing the money out of the market, limiting your risk.
Be prepared to establish Goals in your trading. I highly suggest creating Goals that are attainable. If your goals are NOT attainable it will prove your demise. If you have anything in your trading plan that takes you psychologically into failure it will be impossible to succeed. Remember:
1) YOU WILL NOT WIN EVERY TRADE:
Don't expect to because it is impossible
2) TRADING IS A NUMBERS GAME:
Your trading plan needs a higher win/lose ratio... that's all
3) TRADING IS ALL ABOUT YOU:
Your capability to follow YOUR rules will determine if you will succeed or not.
4) YOU MUST LOVE WHAT YOU ARE DOING:
It is detrimental for your overall happiness to LOVE what you are doing.
Having a Passion for Trading will ensure you follow through with all the steps to ensuring your
overall future success. If you don't enjoy it... find out what you truly love and follow your heart.
http://eotpro.typepad.com/my_weblog/
http://eotpro.typepad.com/my_weblog/2007/11/daily-lessons-l.html
LESSON 1: CHOOSE YOUR MARKET!
Before any other study can be done and before you flail around from market to market trying to trade them all... study each market and CHOOSE 1. Your chances of success are higher if you stick to one market and become intimate with how it moves during all market conditions. If you continuously change from one market to another you will not be able to create a disciplined and consistent plan as each market has its own idiosyncracies that must be learned individually. There is nothing saying you can't expand to another market once you are trading your Primary Choice successfully.
Lesson 2: CHOOSE YOUR TIMEFRAME!
This lesson will take some time to implement. In my opinion, one should take a week or two of watching their distinct market in several timeframes to assist in their end choice.
The obvious choice is longterm vs shortterm intra-day trading. For instance do you want to trade a 10minute chart? Does your personality prefer a scalping method or do you like to see your efforts payoff in the bigger picture trending days? Do you have patience or a lack of it? All of your personality traits will determine what form of trading is best suited to you as a person. IMO one's personality must play a factor in their trading style and trading plan. Trading truly is all about you and the earlier you realize this, I believe the higher your chance of success.
Now most charting software today offer more than only intra-day minute charts. There are Tick, Volume, Daily, and Weekly to name a few more. It is imperative that you know what style is best suited to you and the tools you choose in order to have the highest probability outcome.
The only way you will decide which timeframe and style of charting is best suited is by watching your chosen market, researching back in time with several timeframes, and understanding your own personality, level of patience, and maximum risk.
------
Lesson #7 - Knowing when to Review...
You have been trading your plan live for a few weeks now and doing very well thankyou.
Suddenly, one day, you wake up and you do everything wrong. In a matter of a morning you wipe out 1/2 of the profits that you have earned since turning on your trading live. Now, you are sitting there stunned- could you really have done this? What do you do now? Do you take the next trade? The indecision alone could cost you and it seems that now your mind is questioning everything and fear has set in. So... what do you do?
First:
Shut down your live account. Obviously there is a severe mental and emotional issue happening with your trading and continuing when you are in such a state it is best to shut it all down, and walk away for the day.
Second:
After you have had some time to clear your mind and calm yourself down. Go back to your charts and start the day over. Go through one tick at a time until you reach each and every trade that you took, win or lose, and ask yourself ...
1) "Did this Trade meet my criteria?" YES - Good /NO - WHY?
2) "Were the stops too big?" NO - Good /YES - WHY?
3) "Was I trading on emotion?" NOW - Good /YES - WHY?
4) "Did I overtrade?" NO - Good /YES - WHY?
5) "Was there outside influence against my trade?" (Sudden News, etc...)
If you Answered incorrectly on just one of these questions then you have to ask yourself WHY?
With exception to number 5 because sometimes there will be a news event that you just aren't aware of or prepared for and it is anyone's guess how the market will react... chalk this scenario up to the cost of doing business in trading.
Until you know the answers to what you may have done incorrectly... I would not trade live.
Re-open your simulator account and get back to re-establishing your discipline and the consistent execution of your trading plan. Even if you take a week to get back to your disciplined execution take that time. This will re-build the confidence that you need for long term success.
Thursday, April 16, 2009
Trading systems
http://www.pmkingtrading.com/id3.html
We believe that profitable trading is the result of repeatedly and consistently applying a proven edge to realize a statistically significant profit from the successful implementation of a trading system. Given this context, each production trading system we use includes the following:
* Setup conditions (what events must happen to get interested in a potential trade)
* Entry signal (specific conditions that mean a long or short position should be opened)
* Initial position sizing algorithm (how much to buy/sell initially)
* Loss and profit protective stops (when to take a loss, or a profit)
* Addition to profitable position (when to add to a position that is in profit)
* Exit signal (when to completely close the position)
We believe that profitable trading is the result of repeatedly and consistently applying a proven edge to realize a statistically significant profit from the successful implementation of a trading system. Given this context, each production trading system we use includes the following:
* Setup conditions (what events must happen to get interested in a potential trade)
* Entry signal (specific conditions that mean a long or short position should be opened)
* Initial position sizing algorithm (how much to buy/sell initially)
* Loss and profit protective stops (when to take a loss, or a profit)
* Addition to profitable position (when to add to a position that is in profit)
* Exit signal (when to completely close the position)
Thursday, December 4, 2008
Proprietary Trading
Edit
***********************************************
585 responses -- read and get it
Jacob Oct 5th, 2009 at 1:26 pm -- seems conman
-- jpcorpo@yahoo.com
http://www.darkpooltraders.com/vb/trading/45-any-good-prop-trading-firms-los-angeles-area.html
---
http://www.pearlmancta.com/About.htm -- CA CTA firm big one
www.ma-research.com -- sent mail for CTA professional
dmendiburu@ma-research.com
vtraderpro
Hedge Fund Hotel / CTA & CPO Turn-Key Programs
Desk, data and facility access in San Francisco, Chicago, and New York.
Investor and Capital Introduction offered to traders with proven track records and scalable strategy
Hair-cut margin
----
approach list:
Blue Capital Group is a privately held options market-maker specializing in broad-based equity index options.
http://www.belvederetrading.com/
- Manages their Own capital , has job postings ( so real one), 7 years history
-------------
1/ Commodity Broker, Options Broker and Futures Broker Directory
2/ www.ma-research.com
3 /Here is list URL
above odds guy copied from this maser list
-------------
asr: good firms will pay salary with education as above Mako group, other 90% firms rob people money as mentioned in this blog many times.
SCAMS
Out of 200 traders, there will be about 5 guys that can make decent money. Whatever payout % rate you have because of your contribution makes absolutely no difference at all because you’ll never really get paid…for 95% of the traders, the best scenario is to get draws of 2000 against their accounts…and it is rare that they receive 2000 every month…I would say your lucky if you make $8k the first year. It doesn’t matter if your payout is 80%, or 70% or 50%, because the rates they charge you are so high that you will owe them money even if you made money gross. You can gross 10k per month and they will tell you that you lost them money because of the transaction fees…
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List of Proprietary Trading Firms
What a proprietary trading firm looks for
-------------
asr: this seems good firm makoglobal , which was mentioned above , with open commnunicaton
http://www.makoglobal.com/home/index.cfm
http://www.makoglobal.com/home/index.cfm
First and foremost a trading house, we use team based trading and technology to ensure we can be the best at what we do.
By challenging industry norms and positively embracing change we are shaping the future of trading. Mako Group companies play a vital role in the efficient workings of the European and US financial markets. Proponents of electronic trading as well as participants in the 'open-outcry' floors in Chicago, our traders combine their skill and knowledge of options trading to provide huge liquidity into the key equity and fixed income markets.
Mako Group encompasses a number of private companies tied together by a common culture which embraces continuous improvement, relationships, integrity and, above all, a passion for what we do.
--------
***********************************************
585 responses -- read and get it
Jacob Oct 5th, 2009 at 1:26 pm -- seems conman
-- jpcorpo@yahoo.com
http://www.darkpooltraders.com/vb/trading/45-any-good-prop-trading-firms-los-angeles-area.html
---
http://www.pearlmancta.com/About.htm -- CA CTA firm big one
www.ma-research.com -- sent mail for CTA professional
dmendiburu@ma-research.com
vtraderpro
Hedge Fund Hotel / CTA & CPO Turn-Key Programs
Desk, data and facility access in San Francisco, Chicago, and New York.
Investor and Capital Introduction offered to traders with proven track records and scalable strategy
Hair-cut margin
----
approach list:
Blue Capital Group is a privately held options market-maker specializing in broad-based equity index options.
http://www.belvederetrading.com/
- Manages their Own capital , has job postings ( so real one), 7 years history
-------------
1/ Commodity Broker, Options Broker and Futures Broker Directory
2/ www.ma-research.com
3 /Here is list URL
above odds guy copied from this maser list
Proprietary Trading Firms
Posted By: TradersLog
Listing of Proprietary Trading Firms
- Advantage Futures – Advantage is a clearing member of the Chicago Mercantile Exchange, the Chicago Board of Trade, The London Clearing House, The Clearing Corporation as well as a non-clearing member of Eurex and Eurex-US.
- Allston Trading – Allston Trading, LLC, is a premier market maker in worldwide financial exchanges. We trade hundreds of different stocks, bonds, futures, options and other financial instruments in over 30 exchanges.
- Archelon Group – Archelon LLC is an options market maker and proprietary trader of exchange listed options, futures and equities in the US, Europe, and Korea.
- Assent – Assent is a national equities trading firm that currently serves hundreds of traders across the country.
- Avatar Trading – Trading services for individual traders and large trading groups.
- BOSS Trading – A Chicago-based proprietary trading group with a strong background in intermarket relationships and spreads, from both a fundamental and technical standpoint. Primarily focusing on European market hours, BOSS Trading has over 7 years experience in trading electronic debt, equity, and commodity futures.
- Bear Capital Partners – Established in 2004 by a young team of industrious trading professionals, Bear Capital Partners has quickly evolved within the financial world; developing recognition as an incomparable, resilient force among Wall Street’s most elite organizations.
- Belvedere Trading – Belvedere Trading is a proprietary trading firm specializing in equity index options.
- Blue Capital Group – Blue Capital Group is a privately held futures and options trading firm based in Deerfield, Illinois.
- Breakwater Trading – Breakwater is an agile, focused, proactive organization that strives to integrate technology with intelligence and market vision.
- Bright Trading – Bright Trading, LLC is a professional, proprietary stock trading firm. We have hundreds of independent traders who trade from dozens of locations throughout the United States. In addition, our “Bright-At-Home” traders enjoy the benefits of proprietary trading from the comfort of their homes.
- Broad Street Trading – Broad Street Trading is a private equity trading firm formed to manage and trade it’s own funds.
- Capstone – Trades, equities, commodities, fixed income and money markets around the world. Offices in London, New York and Chicago.
- Chicago Trading Company – Chicago Trading Company (CTC) is a proprietary market making firm and is recognized internationally as a leading provider of pricing and liquidity on all U.S. derivatives exchanges.
- DRW Trading Group – The DRW Trading Group is an aggressive, dedicated organization engaged in many different aspects of the trading industry, including market making and proprietary trading. Offices in Chicago, New York and London.
- DV Trading – DV Trading is a proprietary trading firm that executes on all major North American and European futures exchanges in a variety of asset classes.
- Dimension Brokerage – Dimension Brokerage, LLC is a full service trading firm specializing in providing trading services to professional traders.
- EchoTrade – ECHOtrade is a professional trading firm dedicated to the needs of the serious, off-floor trader.
- Eldorado Trading – Eldorado Trading, LLC, is a proprietary trading firm that capitalizes on global fixed income markets— CME Eurodollars, CBOT Treasuries, LIFFE Euribor—by being the leading innovator of the electronic trading world. The founders of Eldorado have been trading electronically since the inception of screen trading in the early 1990s, giving the company an edge as transactions migrate from open outcry in the trading pits to electronic trading on the screens.
- Fusionary Trading – Fusionary uses a synthesis of the wisdom of the ages and time-tested tools to help you make more money in less time.
- Futex Trading – Futex was set up by traders who had been open-outcry trading on the LIFFE floor since 1990. In 1998 when the LIFFE floor was migrating onto computer screens Futex traders were one of the first to establish a professional computer based trading floor.
- GETCO – GETCO is a privately-held, electronic trading firm dedicated to enhancing liquidity and efficiency in the world’s financial markets.
- Gelber Group – Gelber is a unique service provider for the individual professional trader, professional trading group, or institution. We have an unwavering focus on technology management and service, as we seek to expand our access to liquid electronic markets around the world. Gelber Group maintains the philosophy that clear communication and interaction bring successful trading results.
- Genesis Securities – Genesis provides a fully customizable, state of the art DMA platform Laser for the sophisticated trader.
- Geneva Trading – Geneva Trading is a proprietary electronic trading firm located in Chicago, Illinois USA and Dublin, Ireland. Focus is on electronically traded futures and equity markets in the USA and Europe.
- Goldenberg, Hehmeyer & Co. (GHCO) – Futures, Options, Trading, Hedging. Professional Trading and Brokerage at the next level.
- Group One Trading – Group One is one of the largest proprietary options trading firms in the country.
- Hold Brothers – Proprietary Online Stock Trading.
- IMC Financial Markets – The IMC Group is a global financial organization with a presence in Amsterdam, London, New York, Chicago, Hong Kong, Sydney, and Zug.
- Infinium Capital Management – Infinium Capital Management is a proprietary capital management firm with offices in Chicago and New York. Founded in Chicago in 2001, our firm was built by a core team with decades of experience in trading, software development, and financial modeling. The founders share entrepreneurial pasts, having built and sold a variety of companies and technologies both in and out of the financial markets.
- Intelligent Market Trading Company – The Intelligent Market Trading Company is a Chicago-based proprietary trading company with the core focus of applying cutting edge technology, and trading techniques to the problem of floor traded and electronically traded derivative securities.
- International Trading Group / DE Trading Corporation – Privately held proprietary trading firm in the northern suburbs of Chicago.
- Jane Street Capital – Jane Street is a quantitative proprietary trading firm that brings a deep understanding of markets, a scientific approach, and innovative technology together to trade profitably in financial markets. Jane Street doesn’t seek outside investment and doesn’t have customers. Founded in 2000, Jane Street is 190 committed people in New York, Chicago, London, and Tokyo.
- Jump Trading – Jump Trading, LLC is a proprietary trading firm, focused on trading index futures, options, and equities. Because we are not a brokerage firm, we do not have clients. Revenues come solely from trading Jump’s proprietary account.Jump Trading is a member of the Chicago Mercantile Exchange (CME), the Chicago Board of Trade (CBOT), the Chicago Board Options Exchange (CBOE), and the American Stock Exchange (AMEX). Jump is also a non-clearing member of the European Exchange (Eurex).
- Kershner Trading Group – Since 1993, Kershner Trading has been built on the idea of shared success. We are a classic proprietary trading business providing full service, support and capital to our
traders, including state-of-the-art proprietary technology applications with
direct access to US markets. Our traders currently trade in our Austin, Tx office, however we are always interested in hearing from groups of successful traders in other locations. Member NASD, SEC registered. - Kingstree Trading – Chicago prop trading firm that at one time reputedly did one third of the volume in the e-mini S&P.
- Marex Trading – MAREX Financial is an Independent Broker Dealer offering worldwide coverage of Commodities, Financial Futures and Options and FX Markets.
- Marquette Partners – Marquette Partners is a leading liquidity provider to the world’s largest derivatives exchanges. As an early pioneer in electronic futures trading, Marquette has successfully developed individuals to trade on exchanges throughout the globe, including the Chicago Mercantile Exchange, the Chicago Board of Trade, Eurex, Euronext-Paris, Euronext-LIFFE and Borsa Italia.
- Nico Trading – Nico Holdings LLC is a proprietary trading firm. We make markets and take positions 24 hours a day. We are active in exchange-traded and over-the-counter markets, including spot and derivative contracts.
- Optiver – Optiver is an international proprietary trading house dealing mainly in derivatives, shares and bonds. The firm has expanded from a few Amsterdam based market makers to a global arbitrage group with subsidiaries in Chicago and Sydney.
- Peak6 Trading – One of the largest equity options market-making firms in the U.S.
- Refco Trading Services – Based on REFCO’s acquisition of MAC Trading Services, LLC a London based electronic trading company; REFCO Trading Services was established, which has commenced operations in North America. Now part of the Man Financial Refco Division.
- Reverb Capital – Reverb Capital is making itself heard from the epicenter of Chicago’s Financial District. Focused on “high frequency” trading in the equities, futures and options markets, Reverb is a proprietary trading firm that beats to a different drum.
- Ronin Capital – Proprietary trading operations covering a variety of markets including equity securities, government bonds, corporate bonds, and related derivatives on global exchanges and electronically.
- SKTY Trading – SKTY Trading was founded in 2002 as a market making firm in EuroDollar options on the Chicago Mercantile Exchange. Since inception, SKTY has expanded its focus to include multiple products on several exchanges.
- SMB Capital – SMB Capital, LLC is a privately owned investment partnership engaged in day trading NYSE and NASDAQ equities.
- Schonfeld Group – Schonfeld Securities, LLC pioneered the short term trading industry when it began operations in 1988. It is one of the largest U.S. proprietary equity trading firms in terms of number of traders and volume traded on the NYSE and NASDAQ.
- Simplex Investments – Chicago based off-floor proprietary trading firm focused on the active trader.
- Spot Trading – Spot Trading is an off-floor trading firm specializing in equity options.
- Swifttrade – Global Securities Trading.
- The Archelon Group – Archelon LLC is an options market maker and proprietary trader of exchange listed options, futures and equities in the US, Europe, and Korea.
- Tibra Capital – A global prop firm specialising in market making and arbitrage.
- Title Trading – Title Trading is privately owned proprietary trading firm. Title traders trade the firm’s capital on several US stock markets: NYSE, NASDAQ and AMEX.
- Tower Hill Trading – Tower Hill Trading is a leading proprietary trading firm based in downtown Chicago. We offer a superior working environment, the opportunity to learn from the best, state of the art technology, extremely competitive payouts and access to substantial trading capital.
- Trade Vision Capital – Trade Vision Capital provides its customers with the highest end order entry software available. It is the only software to receive the NASD’s platinum certification.
- Tradebot Systems – Tradebot Systems provides liquidity to the stock market.
- Transmarket Group – TransMarket Group LLC is a global private trading and investment company. Provide risk capital and market access to individuals for the purpose of trading the global financial markets. Employees trade all global exchange listed derivatives, equities, commodities and selected cash markets.
- Vankar Trading – Professional management of trading systems. Divisions in North America, Europe, and Australia.
- WH Trading – WH Trading LLC is a proprietary futures, options and equities trading firm headquartered in Chicago, IL. Founded in 1994, WH Trading currently serves as a primary liquidity provider on the floor of the major Chicago futures exchanges and also as an exchange designated Lead Market Maker for electronically traded products in a variety of asset classes.
- Wasserman Capital – At Wasserman Capital our passion is trading and training others how to trade. Wasserman Capital has a proven apprenticeship program that leverages the same historically proven methods that successful traders have been using for over 100 years. Our training program provides the trading expertise and hands-on coaching necessary to help turn your passion for the financial markets into your career.
- Wolverine Trading – Wolverine is headquartered in Chicago and has offices in New York, San Francisco, Philadelphia and London.
- World Trade Securities – WTS Proprietary Trading Group LLC, is a privately owned proprietary trading firm based in NYC, New York and a member of the CBSX and is SEC registered.
- Xerxes Trading – Xerxes Trading represents the Morristown, NJ Office of Hold Brothers Online Investment Services, LLC (member FINRA-SIPC).
- Zmarc Partners – Specializes in electronic futures and commodity trading with all major international trading exchanges.
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asr: good firms will pay salary with education as above Mako group, other 90% firms rob people money as mentioned in this blog many times.
SCAMS
Out of 200 traders, there will be about 5 guys that can make decent money. Whatever payout % rate you have because of your contribution makes absolutely no difference at all because you’ll never really get paid…for 95% of the traders, the best scenario is to get draws of 2000 against their accounts…and it is rare that they receive 2000 every month…I would say your lucky if you make $8k the first year. It doesn’t matter if your payout is 80%, or 70% or 50%, because the rates they charge you are so high that you will owe them money even if you made money gross. You can gross 10k per month and they will tell you that you lost them money because of the transaction fees…
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List of Proprietary Trading Firms
What a proprietary trading firm looks for
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asr: this seems good firm makoglobal , which was mentioned above , with open commnunicaton
http://www.makoglobal.com/home/index.cfm
http://www.makoglobal.com/home/index.cfm
First and foremost a trading house, we use team based trading and technology to ensure we can be the best at what we do.
By challenging industry norms and positively embracing change we are shaping the future of trading. Mako Group companies play a vital role in the efficient workings of the European and US financial markets. Proponents of electronic trading as well as participants in the 'open-outcry' floors in Chicago, our traders combine their skill and knowledge of options trading to provide huge liquidity into the key equity and fixed income markets.
Mako Group encompasses a number of private companies tied together by a common culture which embraces continuous improvement, relationships, integrity and, above all, a passion for what we do.
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